Longpoll is currently not implemented in the bfgminer getwork proxy, so that will result in low efficiency / lots of stales. Using slush's proxy, cubes do appear as separate workers to the pool when running a single instance of slush's proxy, however, I can't recommend that either. While playing around with slush's proxy and the stratum-mining pool software, I discovered that if you have multiple cubes connected to one instance of slush's proxy, then the proxy will get the share difficulties confused and only submit shares that meet the highest difficulty requirements of all workers.
I'm interested in this - how did you determine this and how much of an effect do you see? I use slush's proxy except for p2pool sites. I currently run one proxy that serves two Blades and another proxy that serves 5 Cubes. I do notice that my Cubes run faster on slush's proxy than on bfgminer - fewer stales, but still not as high an efficiency number as my Blades.